Comment by tclancy

18 hours ago

I mean, run the experiment during a different trend in the market and the results would probably be wildly different. This feels like chartists [1] but lazier.

[1] https://www.investopedia.com/terms/c/chartist.asp

3 comments

tclancy

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refactor_master  17 hours ago

If you've ever read a blog on trading when LSTMs came out, you'd have seen all sorts of weird stuff with predicting the price at t+1 on a very bad train/test split, where the author would usually say "it predicts t+1 with 99% accuracy compared to t", and the graph would be an exact copy with a t+1 offset.

So eye-balling the graph looks great, almost perfect even, until you realize that in real-time the model would've predicted yesterday's high on today's market crash and you'd have lost everything.

  • blitzar  3 hours ago

    if you feed in price i.e. 280.1, 281.5, 281.9 ... you are going to get some pretty good looking results when it comes to predicting the next days price (t+1) with a margin of +/- a percent or so.